書誌事項
- タイトル別名
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- Estimation of Continuous-Discrete Valued Markov Processes
- レンゾク リサン クウカン デ アタイ オ トル Markov カテイ ノ ス
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説明
An algorithm is presented for a general class of nonlinear filtering problems. The process to be estimated is a Markov process with a piecewise-constant component taking values in a finite set of integers. A nonlinear stochastic differential equation modulated by the piecewise-constant component generates another component in a multi-dimensional Euclidean space. The observation is also nonlinear and is corrupted by an additive noise of a Brownian motion process.<br>The a posteriori probability and the conditional filtered estimate of another component evolve with time as shown by calculation for each possible value of the piecewise-constant component. The stochastic linearization technique is used to obtain a feasible algorithm. A numerical example is shown to illustrate the applicability of the proposed algorithm.
収録刊行物
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- 計測自動制御学会論文集
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計測自動制御学会論文集 14 (5), 538-543, 1978
公益社団法人 計測自動制御学会
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詳細情報 詳細情報について
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- CRID
- 1390001204502535936
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- NII論文ID
- 130003968593
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- NII書誌ID
- AN00072392
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- ISSN
- 18838189
- 04534654
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- NDL書誌ID
- 1965755
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- データソース種別
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- JaLC
- NDL
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- 抄録ライセンスフラグ
- 使用不可